WMT Options History — March 2019

In March 2019, WMT traded between $32.41 and $33.25. ATM implied volatility averaged 15.7%, placing in the 10.7% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 0.4% (HV 20d: 15.3%). Max pain ranged from $31.67 to $32.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.60.

Notable Days

  • 2019-03-13: Highest Volume — 177,969 contracts
  • 2019-03-11: Largest IV drop — 12.1% change
  • 2019-03-01: Highest IV Rank — 23.3%
  • 2019-03-25: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.77$32.41$33.25$32.72$32.50
Max Pain$32.46$31.67$32.50$32.50$32.50
ATM IV15.7%13.9%17.8%17.8%14.1%
Expected Move5.3%4.8%5.8%5.6%5.3%
HV 20d15.3%10.6%21.3%21.3%10.6%
HV 60d19.4%16.1%21.9%21.9%16.1%
IV Rank10.7%0.0%23.3%23.3%0.9%
IV Percentile11.2%0.0%26.6%26.6%0.4%
Term Structure-0.1%-0.7%0.4%-0.2%0.3%
VWIV18.2%16.3%19.7%19.3%17.6%
Skew 25d2.4%1.8%2.9%2.8%2.3%
Skew 10d5.0%3.9%8.1%8.1%4.6%
Call IV 25d14.7%13.0%17.0%17.0%13.0%
Put IV 25d17.1%14.9%19.8%19.8%15.2%
Bid-Ask Spread %3.372.436.276.272.93
Gamma HHI0.120.090.150.130.14
Net GEX34.6M15.5M55.5M33.1M32.3M
Net DEX-244.9M-438.4M-100.0M-241.7M-133.6M
Net VEX-4.4M-4.7M-4.2M-4.7M-4.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.150.940.900.83
Total Volume79,268.57138,709177,969138,25263,747
Total OI1,152,696.571896,8501,394,6311,394,6311,068,900

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-03-01$32.72$32.5017.8%5.6%21.3%23.3%19.3%2.8%-0.2%33.1M-241.7M-4.7M0.906.2772,81665,436850,056544,575
2019-03-04$32.65$32.5017.5%5.2%18.1%21.3%17.9%2.5%-0.2%28.4M-219.0M-4.5M0.553.4037,07120,268740,745529,605
2019-03-05$32.84$32.5016.3%4.8%18.1%13.8%16.7%1.8%0.4%38.2M-306.5M-4.5M0.402.6765,70326,160748,785533,535
2019-03-06$32.78$32.5016.2%4.8%17.7%12.9%16.3%2.2%0.3%36.7M-278.9M-4.4M0.672.5639,51626,535758,070537,735
2019-03-07$32.45$32.5017.2%5.4%18.2%19.4%19.3%2.5%0.0%20.2M-118.1M-4.5M0.663.0044,98829,796761,298544,434
2019-03-08$32.52$32.5017.4%5.0%17.9%21.0%17.8%2.6%0.1%15.5M-128.1M-4.5M0.782.6646,19736,087767,019548,487
2019-03-11$32.83$31.6715.3%5.5%17.5%7.2%18.6%2.2%0.3%41.0M-280.3M-4.3M0.423.4142,67517,931725,415525,846
2019-03-12$32.82$32.5015.5%5.4%17.4%8.0%18.6%2.2%-0.5%40.5M-269.0M-4.2M0.603.8238,38522,998735,342534,000
2019-03-13$33.05$32.5015.0%5.1%17.3%5.1%18.2%2.1%-0.6%55.5M-363.0M-4.4M0.154.16155,13922,830745,374545,022
2019-03-14$32.77$32.5015.0%5.4%17.4%5.2%18.5%2.4%0.1%19.0M-124.0M-4.3M0.513.5949,20325,071695,076551,472
2019-03-15$32.75$32.5014.6%5.3%16.9%2.5%18.0%2.2%-0.1%23.7M-161.0M-4.3M0.513.9152,67726,700706,872549,831
2019-03-18$33.25$32.5013.9%5.1%17.5%0.0%16.9%1.9%-0.0%41.5M-413.0M-4.2M0.332.4389,43929,403483,015413,835
2019-03-19$33.23$32.5014.6%5.2%14.4%4.3%18.2%2.3%-0.3%46.0M-438.4M-4.4M0.432.6754,97523,847527,013429,855
2019-03-20$32.90$32.5015.1%5.4%11.6%7.2%17.0%2.4%0.3%40.3M-311.9M-4.4M0.354.7764,07722,518539,559436,587
2019-03-21$33.01$32.5014.7%5.1%11.6%5.0%18.0%2.3%-0.0%55.5M-380.6M-4.5M0.632.8636,01522,596576,261441,768
2019-03-22$32.81$32.5016.1%5.7%11.7%14.2%18.5%2.4%-0.4%50.2M-281.0M-4.7M0.944.0840,41937,878583,578451,641
2019-03-25$32.78$32.5016.4%5.8%11.7%15.6%18.6%2.4%-0.4%33.0M-256.6M-4.6M0.642.6528,04417,865551,943436,374
2019-03-26$32.74$32.5016.2%5.7%11.5%14.3%19.7%2.9%-0.2%35.1M-236.7M-4.6M0.593.4424,27014,439566,868444,354
2019-03-27$32.41$32.5015.8%5.7%11.9%11.9%19.5%2.6%0.2%20.4M-102.3M-4.5M0.772.6437,01428,671573,705452,262
2019-03-28$32.42$32.5015.6%5.6%11.1%10.5%18.4%2.4%-0.7%19.8M-100.0M-4.5M0.852.8135,33129,910581,121469,395
2019-03-29$32.50$32.5014.1%5.3%10.6%0.9%17.6%2.3%0.3%32.3M-133.6M-4.4M0.832.9334,92028,827590,154478,746